saving files in real player

OK first a big SOWWIE if i offended anyone with my curt remarks.
Limewire is searching perfectly now. (I rebooted 3 times)
I am playing my music files in real player.
I save them first to a folder on my desk top, (L/W DOWNLOADS) then transfer them to Real Player, where they play OK.

In Real Player I now ADD the music files to my LIBRARY...NO PROBLEMS

Heres the problem:-
I no longer need the files in (L/W DOWNLOADS) so I delete them.
When i go into Real Player and play them, Real Player says:-
Cannot find the file "blah blah blah"

So I go to recykle bin, restore the files, and hey presto Real Player now plays them

What am I doing wrong???
Oh I am using Real Player 10 PLUS

AFAIK RealPlayer is only a playlist player. Correct me if I'm wrong here. So you need to decide on a permanent location for the audio files. eg: My Music folder in your user account or Music folder at root of c drive. So move them there before adding them to RP.